This is mainly due to something called "specific heat", which is basically how much energy is needed to raise the temperature of material. Dry sand, typical for Phoenix Arizona ground, has a low value of specific heat so it basically "absorbs" heat quickly and easily, and it also gives up this heat energy easily. Moist, dense soil, as would typically be found in Atlanta Georgia, has a higher value of specific heat, so it doesn't heat up as quickly and easily when the sun is shining on it on a warm day. It also does not give up that heat as easily when the sun goes down.
The result of this is that in Phoenix, when the sun goes down, the ground gives up its stored heat quickly and this heat quickly rises up through the atmosphere. In Atlanta, the heat is released slowly, keeping the air close to the ground warm.
There are a few other things that also add to this difference, but to a lesser degree. Atlanta typically has more leafy plants (including grass) and a higher level of humidity, all of which help "insulate" the air and keep the warm air close to the ground.